Integrating Market, Credit and Operational Risk

The focus of this timely book is on the construction of a common, reliable and historically based framework for conducting stress tests for the entire banking organisation structure. This will allow you to develop a common integrated framework for the quantification of economic capital and regulatory capital for each source of risk under consideration.

Integrating Market, Credit and Operational Risk will lead you to:

• Identify and measure the risks on an integrated basis
• Model and map the integrated risk that is associated to both your internal and external market, credit and operational business lines
• Align the integrated risks to business objectives through the associated business lines performances
• Evaluate and monitor the probability and impact of each integrated risk based on multi-factorial and multi-dimensional measurements within operations that have high degree of complexity
• Manage the integrated risk in accordance to minimise the overall value of risks as well as their capital requirements
• Allocate the resources needed for the integrated risk management within different business lines, department sites etc.
• Deal with the implementation of Basel II for integrated risk assessment
• Acquire alternative proposals for market, credit and operational risks
• Learn all financial and business aspects of the integration among market, credit and operational risks in credit institutions
• Identify, model, map and monitor the integrated risks and/or losses
• Understand what to consider on VaR for unitary as well as integrated risk level
• Know when and where the different sources of risks are integrated

This book presents a unique way for you to evaluate integrated risks within complex operational processes and can be used as a working manual, handbook or reference for anyone working in or studying these sources of risk.